交易所债券市场与银行间债券市场价格反应差异研究——基于重大信息公布的视角

Different Price Responses Between SSE Bond Market and Inter-bank Bond Market——Based on the Perspective of the Important Announcements

基于我国银行间债券市场与交易所债券市场的分割状态,本文从重大宏观经济信息公告(包括预期公告及意外公告)的角度运用GARCH扩展模型考察两者对公告的反应差异,结果发现:交易所债券市场吸收重大信息能力较强,而银行间债券市场波动呈现非对称性;与国债相比,企业债券市场对重大信息的反馈及吸收能力较低;近几年来两市场对重大信息吸收效率都有所提高。这些分别与交易机制差异、交易品种差异、商业银行重回交易所市场等有关。最后提出继续打通各市场主体、创新债券品种、加强跨市场监管协作等建议。

Chinese inter-bank bond market and SSE bond market are still in the state of division now. By establishing the GARCH model, this paper analyzes the different responses of the two markets to the macroeconomic announcements. It comes to a conclusion that SSE bond market can absorb macroeconomic information faster than inter-bank. In recent years, the efficiency of inter-bank bond market has been improved, and there is an asymmetric volatility in bond return in SSE bond market. Finally, this paper gives the suggestions about how to establish a unified bond market, including innovating the kind of bonds, founding effective mechanism of risk management.